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dc.contributor.advisor张曙光
dc.contributor.author张娇娇
dc.date.accessioned2018-12-05T01:40:21Z
dc.date.available2018-12-05T01:40:21Z
dc.date.issued2017-12-27
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/170039
dc.description.abstract本文使用不同的方法研究了在随机利率模型和随机波动率模型下的衍生产品定价.使用reduced-form方法,本文得到了在分数维随机利率的模型下信用衍生产品的精确定价公式.对快速均值回复Ornstein-Unlenbeck(O-U)过程的随机波动率模型,本文采用Fouque等(2000)提出的扰动法得到了永久美式障碍期权的渐近公式.对波动率服从不同O-U过程的随机波动率模型,我们考虑Josep等(2008)提出的关于"波动率的波动率"的Fourier变换方法得到了多资产欧式期权的近似定价公式.最后,将新得到的永久美式障碍期权的渐近公式应用到银行挤兑决策. 对于带跳的分数维随机利率模型,本文讨...
dc.description.abstractIn this thesis,we apply different approaches for the stochastic interest rate model and the stochastic volatility model to price derivatives. Based on the reduced-form approach,the explicit pricing formula of credit derivatives is derived for the fractional stochastic interest rate model. For the fast mean-reversion Ornstein-Unlenbeck (O-U) stochastic volatility model,this thesis uses the perturba...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=58252&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=59351
dc.subject随机利率
dc.subject随机波动率
dc.subject信用衍生产品
dc.subject永久美式障碍期权
dc.subject多资产欧式期权
dc.subject银行挤兑
dc.subjectstochastic interest rate
dc.subjectstochastic volatility
dc.subjectcredit derivatives
dc.subjectperpetual American barrier options
dc.subjectmulti-asset European options
dc.subjectbank runs
dc.title随机波动率模型下信用衍生产品和期权定价及其应用
dc.title.alternativeCredit Derivatives and Options Pricing under Stochastic Volatility Models with Its Applications
dc.typethesis
dc.date.replied2016-12-09
dc.description.note学位:理学博士
dc.description.note院系专业:数学科学学院_概率论与数理统计
dc.description.note学号:19020120153816


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